I'm going on a month long fully supported tour from chicago to new orleans. I'm worried about leaving the bicycle unattended since I'm not going to have somebody with me to watch over it. I have three lock options; kryptonite u-lock , regular cable lock and the thicker kryptonite cable which can be used with a master lock(also with u-lock).
U lock is heavy, regular cable lock is weak.
Also i would feel better locking the panniers too when i'm in a store in a busy town but i m not sure if that's necessary?

I always recommend a quality U lock, even though you take a weight penalty.
I have been a licensed locksmith for nearly 14 years now.
I have seen enough theft to realize that it is worth it (to me) to carry an extra pound to prevent someone from getting my beloved bicycle.

If you go with the u-lock, be sure to get a 4' length of cable as well so you can noose one end around a wheel, and put the other end through the u-lock, or use the u-lock as a shackle and the cable to tie around larger things (like trees, phone poles). Sure, the u-lock is pretty heavy but the additional 0.5 lb of weight for the cable won't really make a difference.

Chlling,
I bought a heavy cable lock to tour with and when it came in the mail I immediately put it in the "too heavy" pile and left it home. I carry only a light cable with a small padlock. The cable is long enough to wrap around a tree, both wheels and the frame when I lock it. This thing is not going to prevent a determined thief from taking my bike, nothing is.
Mostly, I try to keep my bike in my sight at all times when in a city. When I go into a restaurant I spend a minute finding a place where I can sit to eat and still see the bike. I have found that some bike shops will let me leave the bike in the shop while I walk around the city. It is only when I am going into a grocery store or a library for example that the bike is left alone, but locked.
Again, there is no one perfect solution for all.
Good luck on your ride.

I carry 2 cable locks. One is the Club, from the same people who make car locks. The other is one I received free at a gun show. It is a gun lock. I use this when I need to go in a small store and I can watch the bike. I bring my bike in large stores and ask the manager where I can leave it while shopping.

U-locks have two serious disadvantages for bike touring; they are heavy, and the bulk of panniers etc often makes it difficult to fit the u-lock around a suitable fixed object. For that reason I use a long, medium thickness cable lock with a combination.

It depends on where you are going to be locking your bicycle. For general day to day riding I use a U-lock. If you are going to be parking the bike for an extended period of time you should use a chain lock plus U-lock.

Lock choice is somewhat personal. It depends on where you tour and how much faith you have in humanity and what your risk tolerance is. I tour with a simple 1/4" cable with a small lock. It fits in the keeping-honest-people-honest category. I certainly wouldn't leave my bike overnight in Times Square with it, but then I don't think any lock would help there.